id: 06076872
dt: a
an: 06076872
au: Kountzakis, C.; Xanthopoulos, S.Z.; Yannacopoulos, A.N.
ti: Minimum regret pricing of contingent claims in incomplete markets.
so: Peixoto, Maurício Matos (ed.) et al., Dynamics, games and science I. DYNA
    2008, in honor of Maurício Peixoto and David Rand, University of
    Minho, Braga, Portugal, September 8‒12, 2008. Papers based on talks
    given at the international conference. Berlin: Springer (ISBN
    978-3-642-11455-7/hbk; 978-3-642-11456-4/ebook). Springer Proceedings
    in Mathematics 1, 503-528 (2011).
py: 2011
pu: Berlin: Springer
la: EN
cc: 
ut: 
ci: 
li: doi:10.1007/978-3-642-11456-4_32
ab: Summary: In this paper we propose a contingent claim pricing scheme between
    two counterparties in an incomplete one period market. According to our
    approach the two counterparties of a non-marketed contingent claim
    select a pair of pricing kernels, in order to agree on a common price,
    by minimizing their joint regret function, which quantifies the
    departure from their initial beliefs. The joint regret function is a
    convex combination of entropy-like or norm-dependent functionals. The
    relevant optimization problem is posed in terms of a partially finite
    convex programming problem in the space of pricing kernels.
rv: